On the distribution of penalized maximum likelihood estimators: the LASSO, SCAD, and thresholding

DOI10.1016/j.jmva.2009.06.010zbMath1170.62046arXiv0711.0660OpenAlexW2012328620MaRDI QIDQ842925

Publication date: 28 September 2009

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0711.0660

zbMATH Keywords

asymptotic distribution thresholding oracle property LASSO uniform consistency SCAD penalized maximum likelihood estimation of distribution finite-sample distribution post-model-selection estimator

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic properties of parametric estimators (62F12) Ridge regression; shrinkage estimators (Lasso) (62J07) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05)

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